Man pages for xVA
Calculates Credit Risk Valuation Adjustments

calcCVACapitalCalculates the CVA Capital Charge
calcDefCapitalCalculates the Default Capital Charge
calcEADCalculates the Exposure-At-Default (EAD)
calcEffectiveMaturityCalculates the Effective Maturity
calcKVACalculates the Capital Valuation Adjustment (KVA)
CalcNGRCalculates the Net/Gross ratio (NGR)
CalcPDCalculates the Probablity of Default
CalcSimulatedExposureCalculated the Simulated Exposure Profile
CalcVACalculates the Valuation Adjustment
xVACalculatorCalculates the xVA values
xVACalculatorExamplexVA calculation example
xVA documentation built on May 2, 2019, 6:22 a.m.